貨幣政策變動與股市報酬：台灣產業股價指數之分析

本研究的資料期間為自1999年2月1日至2020年9月18日，使用事件分析法，來探討貨幣政策衝擊對股價指數報酬率的影響。首先，透過觀察台灣加權股價指數報酬率的反應，來粗略瞭解整個台灣股票市場受政策利率變動的影響，其結果為負向影響且不具顯著性。我們也嘗試透過區分預期的貨幣政策變動與未預期的貨幣政策變動，分析其對股價指數報酬率影響的差異。接著，再透過產業股價指數報酬率的反應，我們發現在不同產業間，其受到貨幣政策衝擊的影響有明顯不同。此外，我們也透過區分以內銷市場為主及以出口外銷為主的產業，使我們能直接透過未預期的政策利率變動對產業股價指數報酬率的影響之實證結果，來間接瞭解貨幣政策傳遞機制中匯率管道的重要性。本文也嘗試使用不同觀察期間的資料，如日報酬率、週報酬率與月報酬率，為瞭解政策利率衝擊對各產業影響時間長短，實證結果為多數產業受此影響持續至我國央行召開理監事會議後一週之久，而多數產業在會議後一個月則不太受到貨幣政策衝擊的影響。

關鍵字

貨幣政策變動；台灣加權股價指數報酬率；產業股價指數報酬率；事件分析法

並列摘要

The data period for this study is from February 1, 1999 to September 18, 2020, using Event Study methodology to explore the impact of monetary policy shocks on the return of the stock index. First, by observing the reaction of the return of TSEC weighted index , we can get a rough idea of how the stock market in Taiwan is affected by changes in policy interest rates, with negative and non-significant results. We also try to analyze the difference in the impact of expected and unexpected changes in monetary policy on the return of the stock index. Then, through the reaction of the return of the industrial stock index, we found that between different industries, the impact of monetary policy shocks is significantly different. In addition, by distinguishing between the industries of domestic market and export market, we can indirectly understand the importance of the Exchange Rate Channel in the monetary policy transmission mechanism through the empirical results on the impact of unexpected changes in policy interest rates on the return of industrial stock indices. This paper also tries to use data from different observation periods, such as daily return, weekly return and monthly return, in order to understand the impact of policy interest rate shocks on various industries for a long time, the empirical result is that most industries are affected by this until a week after the central bank held the Board Meeting, and most industries in the month after the Meeting is less affected by the monetary policy shock.